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Author : Michael K. Salemi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Saddlepath Solutions for Multivariate Linear Rational Expectations Models written by Michael K. Salemi and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L. Broze
Publisher : Routledge
ISBN 13 : 1136457739
Total Pages : 134 pages
Book Rating : 4.1/5 (364 download)
Download or read book Reduced Forms of Rational Expectations Models written by L. Broze and published by Routledge. This book was released on 2013-06-17 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
Author : Michael Mussa
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 (9 download)
Download or read book Economically Sensible Solutions for Linear Rational Expectations Models with Forward and Backward Looking Dynamic Processes written by Michael Mussa and published by . This book was released on 1984 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using variants of a modified version of Dornbusch's model of price level and exchange rate dynamics, it is demonstrated that satisfaction of the formal condition for existence of a unigue non-explosive solution of a linear rational expectations model with forward and backward looking dynamic processes (equality of the number of stable roots with the number of independent backward looking processes) does not guarantee the economic sensibility of this solution, even if one accepts the usual arguments for excluding "speculative babbles" from the solutions of such models. Moreover, satisfaction of the formal condition for existence of an infinity of non-explosive solutions for such rational expectations models (more stable roots than independent backward looking processes) does not assure that any of these solutions is economically sensible.
Author : Charles H. Whiteman
Publisher : U of Minnesota Press
ISBN 13 : 9780816611812
Total Pages : 133 pages
Book Rating : 4.6/5 (118 download)
Download or read book Linear Rational Expectations Models written by Charles H. Whiteman and published by U of Minnesota Press. This book was released on 1983 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roger Guesnerie
Publisher : MIT Press
ISBN 13 : 9780262262798
Total Pages : 350 pages
Book Rating : 4.2/5 (627 download)
Download or read book Assessing Rational Expectations written by Roger Guesnerie and published by MIT Press. This book was released on 2001-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). In this book Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). He focuses on the multiplicity question that arises in (infinite horizon) Rational Expectation models and considers the implications for a theory of endogenous fluctuations. The REH, which dominates the economic modeling of expectations in most fields of formalized economic theory, is often associated with an optimistic view of the working of the markets—a view that Guesnerie scrutinizes closely. The book is divided into four parts. The first part uses the framework of simple models to characterize the stochastic processes that trigger self-fulfilling prophecies and examines the connections between periodic equilibria (cycles) and stochastic equilibria (sunspots). (A sunspot is a random shock uncorrelated with underlying economic fundamentals.) The second part views sunspot equilibria as overreactions triggered by small variations of intrinsic variables—rather than as fluctuations with no trigger—and looks at the consequences for a monetary theory à la Lucas. The third part develops the basic theory to encompass more complex, multidimensional systems. It focuses in particular on the special class of equilibria generating small fluctuations around a steady state. Broadening the scope, the fourth part looks at the stability of cycles, sunspots in systems with memory, and current research on rational expectations.
Author : Charles Whiteman
Publisher :
ISBN 13 : 9780816669516
Total Pages : 0 pages
Book Rating : 4.6/5 (695 download)
Download or read book Linear Rational Expectations Models written by Charles Whiteman and published by . This book was released on 1983 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Linear Rational Expectations Models was first published in 1983.The assumption that agents respond rationally to changes in their economic environment introduces complicated restrictions among equations of the economic model. So far, the technical problems created by those restrictions have made building a rational expectations model of the economy an awkward and difficult task. Here Charles H. Whiteman analyzes a variety of methods that have been proposed for solving those equation systems and offers a new and simpler technique.
Author : Roman Frydman
Publisher : Princeton University Press
ISBN 13 : 1400846455
Total Pages : 441 pages
Book Rating : 4.4/5 (8 download)
Download or read book Rethinking Expectations written by Roman Frydman and published by Princeton University Press. This book was released on 2013-01-23 with total page 441 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.
Author : Willem H. Buiter
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (769 download)
Download or read book Saddlepoint Problems in Contifuous Time Rational Expectations Models written by Willem H. Buiter and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The paper presents a general solution method for rational expectations models that can be represented by systems of. deterministic first order linear differential equations with constant coefficients. It is the continuous time adaptation of the method of Blanchard and Kahn. To obtain a unique solution there must be as many linearly independent boundary conditions as there are linearly independent state variables. Three slightly different versions of a well-known small open economy macroeconomic model were used to illustrate three fairly general ways of specifying the required boundary conditions. The first represents the standard case in which the number of stable characteristic roots equals the number of predetermined variables. The second represents the case where the number of stable roots exceeds the number of predetermined variables but equals the number of predetermined variables plus the number of "backward-looking" but non-predetermined variables whose discontinuities are linear functions of the discontinuities in the forward-looking variables. The third represents the case where the number of unstable roots is less than the number of forward-looking state variables. For the last case, boundary conditions are suggested that involve linear restrictions on the values of the state variables at a future date. The method of this paper permits the numerical solution of models with large numbers of state variables. Any combination of anticipated or unanticipated, current or future and permanent or transitory shocks can be analyzed.
Author : Willem Hendrik Buiter
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (753 download)
Download or read book Saddlepoint Problems in Continuous Time Rational Expectations Models written by Willem Hendrik Buiter and published by . This book was released on 1984 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents a general solution method for rational expectations models that can be represented by systems of. deterministic first order linear differential equations with constant coefficients. It is the continuous time adaptation of the method of Blanchard and Kahn. To obtain a unique solution there must be as many linearly independent boundary conditions as there are linearly independent state variables. Three slightly different versions of a well-known small open economy macroeconomic model were used to illustrate three fairly general ways of specifying the required boundary conditions. The first represents the standard case in which the number of stable characteristic roots equals the number of predetermined variables. The second represents the case where the number of stable roots exceeds the number of predetermined variables but equals the number of predetermined variables plus the number of "backward-looking" but non-predetermined variables whose discontinuities are linear functions of the discontinuities in the forward-looking variables. The third represents the case where the number of unstable roots is less than the number of forward-looking state variables. For the last case, boundary conditions are suggested that involve linear restrictions on the values of the state variables at a future date. The method of this paper permits the numerical solution of models with large numbers of state variables. Any combination of anticipated or unanticipated, current or future and permanent or transitory shocks can be analyzed.
Author : George W. Evans
Publisher : Princeton University Press
ISBN 13 : 1400824265
Total Pages : 440 pages
Book Rating : 4.4/5 (8 download)
Download or read book Learning and Expectations in Macroeconomics written by George W. Evans and published by Princeton University Press. This book was released on 2012-01-06 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.
Author : Michael Mussa
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.0/5 ( download)
Download or read book Rational Expectations Models with a Continuum of Convergent Solutions written by Michael Mussa and published by . This book was released on 1984 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines five examples of rational expectations models with a continuum of convergent solutions and demonstrates serious difficulties in the economic interpretation of these solutions. The five examples are (1) a model of optimal capital accumulation with a negative rate of time preference, (2) Taylor's (1977) linear rational expectations model of macroeconomic equilibrium; (3) Calvo's (1984) model of contract setting and price dynamics; (4) Obstfeld's (1984) equilibrium model of monetary dynamics with individual optimizing agents; and (5) Calvo's (1978) life-cycle model of savings and asset valuation. In every case, when these models yield a continuum of convergent infinite horizon solutions, these solutions fail to exhibit economically appropriate, forward looking dependence of the endogenous variables on the paths of the exogenous forcing variab1es--a difficulty that does not arise under the circumstances where these models yield unique convergent infinite horizon solutions. Further, the three models that have natural finite horizon versions, either lack finite horizon solutions or have solutions that do not converge to any of the infinite horizon solutions. Again, this difficulty arises only under the circumstances where these models have a continuum of infinite horizon solutions.
Author :
Publisher :
ISBN 13 :
Total Pages : 1228 pages
Book Rating : 4.3/5 (91 download)
Download or read book Mathematical Reviews written by and published by . This book was released on 2006 with total page 1228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Claude Ménard
Publisher : Edward Elgar Publishing
ISBN 13 : 1782547991
Total Pages : 381 pages
Book Rating : 4.7/5 (825 download)
Download or read book The Elgar Companion to Ronald H. Coase written by Claude Ménard and published by Edward Elgar Publishing. This book was released on 2016-02-26 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ronald H. Coase, one of the most innovative and provocative economists of the twentieth century, has had a lasting influence in economics, law and economics, organization theory, management and political science. In this comprehensive Companion, 31 leading economists, social scientists and legal scholars, including two Nobel Laureates, offer the first global assessment of the initial impact of Coase’s work and the continuing inspiration that researchers and policy makers find in his contributions. The book presents a review of the continuing power of Coase’s work, including the reshaping of public policies with particular respect to public utilities and network industries. Further chapters explore research programmes that he initiated including the concept of transaction costs and the analysis of property rights, especially in terms of the regulation of the communications industry and the creation of markets for the right to pollute. The book clearly demonstrates the originality of Coase’s work and the challenge that it posed to conventional perspectives which has been a hallmark of his research throughout his life, from his initial view on the nature of the firm to his recent analysis of the development of capitalism in China. Less well-known features of Coase’s research going beyond his famous papers on ‘The Nature of the Firm’ and ‘The Problem of Social Cost’ are also explored in detail. From economics to public policy, this complete and thorough assessment of Coase’s vast contribution will be an invaluable reference to all those interested in the many areas influenced by this great economist.
Author : Enrique Martínez-García
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (962 download)
Download or read book System Reduction and Finite-Order VAR Solution Methods for Linear Rational Expectations Models written by Enrique Martínez-García and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S. Mittnik
Publisher : Elsevier
ISBN 13 : 1483296237
Total Pages : 219 pages
Book Rating : 4.4/5 (832 download)
Download or read book System-Theoretic Methods in Economic Modelling II written by S. Mittnik and published by Elsevier. This book was released on 2014-06-28 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: System-Theoretic Methods in Economic Modelling II complements the editor's earlier volume, bringing together current research efforts integrating system-theoretic concepts with economic modelling processes. The range of papers presented here goes beyond the long-accepted control-theoretic contributions in dynamic optimization and focuses on system-theoretic methods in the construction as well as the application stages of economic modelling. This volume initiates new and intensifies existing debate between researchers and practitioners within and across the disciplines involved, with the objective of encouraging interdisciplinary research. The papers are split into four sections - estimation, filtering and smoothing problems in the context of state space modelling; applying the state space concept to financial modelling; modelling rational expectation; and a miscellaneous section including a follow-up case study by Tse and Khilnani on their integrated system model for a fishery management process, which featured in the first volume.
Author :
Publisher :
ISBN 13 :
Total Pages : 1316 pages
Book Rating : 4.:/5 (318 download)
Download or read book Journal of Economic Literature written by and published by . This book was released on 1993 with total page 1316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michal Andrle
Publisher : International Monetary Fund
ISBN 13 : 1475548818
Total Pages : 26 pages
Book Rating : 4.4/5 (755 download)
Download or read book System Priors written by Michal Andrle and published by International Monetary Fund. This book was released on 2013-12-19 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a novel way of formulating priors for estimating economic models. System priors are priors about the model's features and behavior as a system, such as the sacrifice ratio or the maximum duration of response of inflation to a particular shock, for instance. System priors represent a very transparent and economically meaningful way of formulating priors about parameters, without the unintended consequences of independent priors about individual parameters. System priors may complement or also substitute for independent marginal priors. The new philosophy of formulating priors is motivated, explained and illustrated using a structural model for monetary policy.
